Conditional Correlation via Generalized Random Forests; Application to Hedge Funds
A novel method using decision trees offers a reliable estimator of the conditional correlation between financial assets, aiding in financial market analysis and understanding asset behavior in various market conditions.
Featured in No. 47 on 1 May 2024 · on release day · 0 citations today
- Released
- 1 May 2024
- First featured
- No. 47 · 1 May 2024
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- 0
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- Identifier
- SSRN 4813257
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